45-734 PROBABILITY AND STATISTICS II

**GRADUATE SCHOOL OF INDUSTRIAL ADMINISTRATION**

**
****CARNEGIE-MELLON UNIVERSITY**

#### 4^{th} Mini, Spring 1998

Instructor: Keith T. Poole

Office: 254B GSIA (new bldg)

Phone: (412)-268-8832

Fax: (412)-268-7357 or (412)-268-6837 or (412)-243-1178

E-Mail:kp2a@andrew.cmu.edu

Secretary: Patty Porter, Room 254, (412)-268-3705

#### Classroom (Flex-Time): Room 153 Posner Hall
Time: 6:00 - 7:50 TuTh

Classroom (Flex-Mode): Room 240 Posner Hall
Time: 8:00 - 10:50 TuTh

This is a one mini-semester course that is worth 6 units of credit. Your
grade will be determined by your performance in three areas: 1) final
examination, **40%**; 2) one mid-term examination, **30%**;
3) homework, **30%**.
Homeworks are to be written up and turned in on the dates indicated below.
The homework problems are all designed to give you "hands-on" experience in
applying the methods developed in the course. You will be asked to analyze
data on the computer using the software package EVIEWS. EVIEWS is well suited to the kinds of
analyses we will cover in the course. You will receive a separate tutorial
on EVIEWS that will get you started on the first homework problem. There
will also be separate handouts describing each of the data sets used in the
course for the homework problems. You will have to be conversant with EVIEWS
in order to take the examinations.

**REQUIRED HOMEWORK SCHEDULE:**

Assignment 1 due Thursday March 19

Assignment 2 due Tuesday March 31

Assignment 3 due Tuesday April 7

Assignment 4 due Thursday April 16

Assignment 5 due Thursday April 23

Assignment 6 due Thursday April 30

**EXAM SCHEDULE:**

Midterm: 9 April 1998, Take Home Exam, due 14 April 1998

Final: 30 April 1998, Take Home Exam, due Noon, 6 May 1998

**Textbooks:**

The primary text for the course is Dennis Epple's 1997 Prob-Stat II Course Notes

*Mathematical Statistics With Applications* from
Prob-Stat I will be used as a supplemental text

**COURSE OUTLINE**

- Introduction to Ordinary Least Squares

- The Two Variable Model

**Assignment:** Epple Notes I, MWS 11.1 - 11.3

- Properties of Least Squares Coefficient Estimators

**Assignment:** Epple Notes II, MWS 11.4

- The Assumption that the Errors are Normally Distributed:
confidence intervals, F-tests, and maximum likelihood

**Assignment:** Epple Notes III, MWS 11.5-11.7

- Multiple Regression

- Introduction

**Assignment:** Epple Notes IV, MWS 11.10

Note Set 4 Handouts

- Hypothesis Testing

**Assignment:** Epple Notes V, MWS 11.11-11.14

Note Set 5 Handouts

- Functional Forms: What if the Relationship Between Y and X
is not Linear

**Assignment:** Epple Notes VI

Note Set 6 Handouts

- Indicator (Dummy) Variables

**Assignment:** Epple Notes VII

Note Set 7 Handouts

- Analysis of Variance

**Assignment:** Epple Notes VIII, MWS 13.1-13.14

Note Set 8 Handouts

- Problems With the Multiple Regression Model

- Multicollinearity

**Assignment:** Epple Notes IX

Note Set 9 Handouts

- Errors in Variables and Non-normality of Errors

**Assignment:** Epple Notes X

Note Set 10 Handouts

- Heteroskedasticity and Other Violations of Assumptions

**Assignment:** Epple Notes XI

Note Set 11 Handouts

- Time Series Analysis

**Assignment:** Epple Notes XII and XIII

Note Set 12 Handouts

Note Set 13 Handouts (Moving Average)

Note Set 13 Handouts (ARMA)

Note Set 13 Handouts (ARIMA)